In reply to Enty: Have a look at AKGs. They have brilliant audio quality, good construction, and a lack of silly marketing means they still sell for reasonable money. I've used their portable 'phones and their more home / studio oriented 'phones and they are very good.
Regardless of brand: if you want volume look for headphones with a higher sensitivity. Over 105dB is probably about right. Impedance is important if you care about sound quality. Generally 32ohm and less is suitable for portable sources, however you will get better bang for your buck with a mains-powered audio source and higher impedance rating 'phones, as distortion will be lower at any given output. Home hi-fi headphones tend to be over 100ohm or so. This also means they're less affected by long cable lengths, so ideal if you like to sit and listen in a comfy chair miles from your amp. Also consider 'phones frequency response - look for drivers which respond below 20hz, otherwise you can end up with a flat and lifeless sound. My B&W P7s respond down to 10hz and sound amazing, esp. with more bassy music.
A final point is generally, avoid earbuds (unless you can try a pair first) for obvious reasons most shops are reluctant. You can make general observations about in-ear phones but fit, comfort and character are very individual things, and it's easy to get stuck with something you don't really like.
